I want to find a solution of the following problem.
min 1/2 * x'*Q*x - f*x' s.t. sum(x) = 0 sum(abs(x)) = 1
I am using the function quadprog but i don't know how to give the second constraint the one with the absolute.
Is there a way to give such constraints in quadprog or fmincon or some other matlab optimization function??
Any help would be appreciated
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I think i can use the argument nonlcon in fmincon function.
function [cineq ceq] = nonlcon(x) ceq sum(abs(x))-1; cineq = ; end
Anyone can confirm that?